#### Filter Results:

- Full text PDF available (10)

#### Publication Year

1996

2017

- This year (1)
- Last 5 years (3)
- Last 10 years (8)

#### Publication Type

#### Co-author

#### Journals and Conferences

Learn More

We study the probability tail properties of Inverse Probability Weighting (IPW) estimators of the Average Treatment Effect (ATE) when there is limited overlap between the covariate distributions of the treatment and control groups. Under unconfoundedness of treatment assignment conditional on covariates, such limited overlap is manifested in the propensityâ€¦ (More)

Projection-based methods of inference on subsets of parameters are useful for obtaining tests that do not over-reject the true parameter values. However, they are also often criticized for being conservative. We show that the usual method of projection can be modified to obtain tests that are as powerful as the conventional tests for subsets of parameters.â€¦ (More)

The paper by Kleibergen andMavroeidis (2008a), hereafter KM, is an excellent survey of the current state of the art in the weak instrument robust econometrics for testing subsets of parameters in GMM, and provides an important and relevant application of the econometric theory to the analysis of the new Keynesian Phillips curve. We are extremely grateful toâ€¦ (More)

In this paper we design two split-sample tests for subsets of structural coefficients in a linear Instrumental Variables (IV) regression. Sample splitting serves two purposes â€“ 1) validity of the resultant tests does not depend on the identifiability of the coefficients being tested and 2) it combines information from two unrelated samples one of which needâ€¦ (More)

In this paper we introduce a new method of projection-type inference and describe it in the context of two stage least squares-based split-sample inference on subsets of structural coefficients in a linear instrumental variables regression model. The use of the new method not only guards against the uncontrolled over-rejection of the true value of theâ€¦ (More)

- Saraswata Chaudhuri, Thomas S. Richardson, +5 authors Elaina Rose
- 2007

In this paper we design two split-sample tests for subsets of structural coefficients in a linear Instrumental Variables (IV) regression. Sample splitting serves two purposes â€“ 1) validity of the resultant tests does not depend on the identifiability of the coefficients being tested and 2) it combines information from two unrelated samples one of which needâ€¦ (More)

We consider estimation of a finite dimensional unknown parameter value defined by a set of overidentifying unconditional moment restrictions. Random variables forming the different elements of the moment vector can be missing at random â€“ jointly or individually â€“ for some sample units, thus rendering the corresponding elements of the moment vectorâ€¦ (More)

Estimating the Veteran Effect with Endogenous Schooling When Instruments Are Potentially Weak Instrumental variables estimates of the effect of military service on subsequent civilian earnings either omit schooling or treat it as exogenous. In a more general setting that also allows for the treatment of schooling as endogenous, we estimate the veteranâ€¦ (More)

We extend the two-step GMM-LM projection test for subvectors in Chaudhuri and Zivot (2011) to testing null hypotheses on linear restrictions on a parameter vector. This extension retains all the asymptotic properties of the original two-step projection test under more general identification conditions. A key aspect of our paper is that the identification ofâ€¦ (More)

We consider consistent estimation of parameters in a structural model by Indirect Inference (II) when the exogenous variables can be missing at random (MAR) endogenously. We demonstrate that II procedures which simply discard sample units with missing observations can yield inconsistent estimates of the true structural parameters. By inverse probabilityâ€¦ (More)